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Additive space–time white noise 1 Asymptotically the most powerful test 1 Cumulant generating function 1 Fractional heat equation 1 Hypothesis testing for SPDE 1 Maximum likelihood estimator 1
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Cialenco, Igor 1 Xu, Liaosha 1
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Stochastic Processes and their Applications 1
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Hypothesis testing for stochastic PDEs driven by additive noise
Cialenco, Igor; Xu, Liaosha - In: Stochastic Processes and their Applications 125 (2015) 3, pp. 819-866
We study the simple hypothesis testing problem for the drift coefficient for stochastic fractional heat equation driven by additive noise. We introduce the notion of asymptotically the most powerful test, and find explicit forms of such tests in two asymptotic regimes: large time asymptotics,...
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